For the M3 the recommended manual transmission fluid is Redline D4 ATF.

^^ This

OEM fluid is made to last for around 45000 miles, so its thick and does not allow for quick shifts at high rpm. I have inquired with some shops who routinely do service to out of warranty BMWs, and they also said to use D4 ATF and to change it every 15000 miles, as the oil is not as thick BUT does allow the transmission to shift much better.

Im personally about to change to D4 ATF, as redline is also the only aftermarket manufacturer of fluids whom (to my knowledge) has developed a replacement for the Castrol 10W-60 oil we currently need for our cars.

I've been using redline and AMSOIL in my cars, previous to the M3 for the past 15 years without ever a problem.